If you want to update order status & state programmaticaly, you try this

$order->setStatus(Mage_Sales_Model_Order::STATE_COMPLETE);
$order->setState(Mage_Sales_Model_Order::STATE_COMPLETE);

And you get this error :

The Order state 'complete' must not be set manually.

To fix it, use this :

$order->addStatusToHistory(Mage_Sales_Model_Order::STATE_COMPLETE, "Comments");
$order->setData('state', Mage_Sales_Model_Order::STATE_COMPLETE);